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Common features in life insurance contracts are an interest rate guarantee andpolicyholder participation in the returns of insurers’ reference portfolio, which canbe of substantial value. The aim of this paper is to analyze the model risk involvedin pricing and risk assessment that arises from...
Persistent link: https://www.econbiz.de/10005861478
insurance on risk-neutral pricing and shortfall risk. In general,these feedback mechanisms affect the contract’s payoff and …, wecalibrate contract parameters so that the compared contracts have the same market valueand same default-value-to-liability ratio …. This way, the fair valuation method is extendedsince, in addition to the contract’s market value, the default put option …
Persistent link: https://www.econbiz.de/10005861516
the contracts, which further makes an evaluation more complex. This article gives a comprehensive overview and clas … means of a life insurance contract that in-cludes common implicit options, i.e., guaranteed interest rate, stochastic annual …
Persistent link: https://www.econbiz.de/10005861539
Most life insurance contracts embed the right to stop premium payments during the termof the contract (paid-up option …). Thereby, the contract is not terminated but continueswith reduced benefits and often provides the right to resume premium … contract with two standard options, namely, an interest-rate guaranteeand annual surplus participation. Next, in addition to …
Persistent link: https://www.econbiz.de/10005861543
contract parameters that lead to the same market value using risk-neutral valuation. We then measure the resulting risk as …
Persistent link: https://www.econbiz.de/10005861547
This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...
Persistent link: https://www.econbiz.de/10003888707
CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their...
Persistent link: https://www.econbiz.de/10013134778
of the individual policyholder's ability to replicate the contract's cash flows and claims. The paper shows that the two …
Persistent link: https://www.econbiz.de/10013101719
We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which,...
Persistent link: https://www.econbiz.de/10013081107
This paper looks for evidence of adverse selection in the relationship between primary insurers and reinsurers. We test the implications of a model in which informational asymmetry – and therefore, its negative consequences – decline over time. Our tests involve a data panel consisting of...
Persistent link: https://www.econbiz.de/10013067546